Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Liquidity risk
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Treatment of securitisation Class A notes guaranteed by a Member State

Pursuant to specific national decree, an originator of NPLs under a securitisation transaction complying with certain requirements may request the government to guarantee the payments of interest and principal on the senior tranche of asset-backed securities.

Where senior noteholders of a securitisation benefit from this unconditional, irrevocable and first-demand guarantee from a Member State, what is the expected treatment in the LCR for securitisation notes with respect to Articles 10 and 13? Do we have to consider that article 13 prevails to any other article when qualifying the eligibility for a securitisation?

Background on the question:

Securitisations are not assumed to be part of assets that are not eligible for LCR following general requirements laid down in Article 7(4) as for assets issued by a credit institutions which shall respect specific conditions.

Moreover, Article 10(1)(c)(i) of  the Delegated Regulation (EU) 2015/61 offers the opportunity to consider “Assets […] guaranteed by […] the central government of a Member State” as level 1 assets. Guaranteed assets are not referring to any kind of specific assets.

Nonetheless, a specific section through the Article 13 is dedicated to securitisations’ eligibility.

Date of submission:
Published as Final Q&A:
EBA Answer:

NPL securitisations explicitly guaranteed by the central government of a Member State can qualify as level 1 liquid assets in the LCR in accordance with Article 10(1)(c)(i) of Delegated Regulation (EU) 2015/61 (LCR DA) subject to compliance with the general and operational requirements as envisaged in Articles 7 and 8 where applicable on exposures guaranteed by the central government of a Member State.

For example, securitisations issued by a credit institution or by a securitisation special purpose entity with which the credit institution has close links are not HQLA eligible, following paragraphs 3 and 4 of Article 7 of the LCR DA.

Final Q&A
Answer prepared by:
Answer prepared by the EBA.